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Comparative statics under uncertainty: The case of mean-variance preferences

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  • Wagener, Andreas

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  • Wagener, Andreas, 2003. "Comparative statics under uncertainty: The case of mean-variance preferences," European Journal of Operational Research, Elsevier, vol. 151(1), pages 224-232, November.
  • Handle: RePEc:eee:ejores:v:151:y:2003:i:1:p:224-232
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    References listed on IDEAS

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Patrick L. Brockett & Yehuda Kahane, 1992. "Risk, Return, Skewness and Preference," Management Science, INFORMS, vol. 38(6), pages 851-866, June.
    3. Sinn, Hans-Werner, 1990. "Expected Utility, mu-sigma Preferences, and Linear Distribution Classes: A Further Result," Journal of Risk and Uncertainty, Springer, vol. 3(3), pages 277-281, September.
    4. Chamberlain, Gary, 1983. "A characterization of the distributions that imply mean--Variance utility functions," Journal of Economic Theory, Elsevier, vol. 29(1), pages 185-201, February.
    5. Eeckhoudt, Louis & Gollier, Christian & Schlesinger, Harris, 1996. "Changes in Background Risk and Risk-Taking Behavior," Econometrica, Econometric Society, vol. 64(3), pages 683-689, May.
    6. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
    7. Thomas Eichner & Andreas Wagener, 2003. "More on parametric characterizations of risk aversion and prudence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(4), pages 895-900, June.
    8. K. Borch, 1969. "A Note on Uncertainty and Indifference Curves," Review of Economic Studies, Oxford University Press, vol. 36(1), pages 1-4.
    9. Mayers, David & Smith, Clifford W, Jr, 1983. "The Interdependence of Individual Portfolio Decisions and the Demand for Insurance," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 304-311, April.
    10. Allingham, Michael, 1991. "Existence Theorems in the Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 59(4), pages 1169-1174, July.
    11. Ormiston, Michael B & Schlee, Edward E, 2001. "Mean-Variance Preferences and Investor Behaviour," Economic Journal, Royal Economic Society, vol. 111(474), pages 849-861, October.
    12. Lars Tyge Nielsen & Fatma Lajeri, 2000. "Parametric characterizations of risk aversion and prudence," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 469-476.
    13. Grootveld, Henk & Hallerbach, Winfried, 1999. "Variance vs downside risk: Is there really that much difference?," European Journal of Operational Research, Elsevier, vol. 114(2), pages 304-319, April.
    14. Meyer, Jack, 1987. "Two-moment Decision Models and Expected Utility Maximization," American Economic Review, American Economic Association, vol. 77(3), pages 421-430, June.
    15. John S. Chipman, 1973. "The Ordering of Portfolios in Terms of Mean and Variance," Review of Economic Studies, Oxford University Press, vol. 40(2), pages 167-190.
    16. Levy, Haim, 1973. "The Demand for Assets Under Conditions of Risk," Journal of Finance, American Finance Association, vol. 28(1), pages 79-96, March.
    17. Rothschild, Michael & Stiglitz, Joseph E., 1971. "Increasing risk II: Its economic consequences," Journal of Economic Theory, Elsevier, vol. 3(1), pages 66-84, March.
    18. Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
    19. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-1123, September.
    20. Bar-Shira, Ziv & Finkelshtain, Israel, 1999. "Two-moments decision models and utility-representable preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 38(2), pages 237-244, February.
    21. Sinn, Hans-Werner, 1990. "Expected utility, μ-σ preferences, and linear distribution classes: A further result," Munich Reprints in Economics 19847, University of Munich, Department of Economics.
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    Citations

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    Cited by:

    1. Thomas Eichner & Andreas Wagener, 2004. "Relative risk aversion, relative prudence and comparative statics under uncertainty: The case of (μ, σ)-preferences," Bulletin of Economic Research, Wiley Blackwell, vol. 56(2), pages 159-170, April.
    2. Thomas Eichner & Andreas Wagener, 2005. "Notes and Comments: Measures of risk attitude: correspondences between mean-variance and expected-utility approaches," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 28(1), pages 53-65, June.
    3. Bilancini, Ennio & D’Antoni, Massimo, 2012. "The desirability of pay-as-you-go pensions when relative consumption matters and returns are stochastic," Economics Letters, Elsevier, vol. 117(2), pages 418-422.
    4. Huang, Baoan & Miao, Jianjun & Zhang, Zongliang & Zhao, Dianbo, 2016. "Some new results about optimal insurance demand under uncertainty," Finance Research Letters, Elsevier, vol. 17(C), pages 280-284.
    5. repec:wsi:apjorx:v:34:y:2017:i:04:n:s021759591750018x is not listed on IDEAS
    6. Fatma Lajeri-Chaherli, 2016. "On The Concavity And Quasiconcavity Properties Of ( Σ , Μ ) Utility Functions," Bulletin of Economic Research, Wiley Blackwell, vol. 68(3), pages 287-296, April.
    7. Thomas Eichner & Andreas Wagener, 2004. "The Welfare State in a Changing Environment," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 11(3), pages 313-331, May.
    8. Ennio Bilancini & Massimo D'Antoni, 2008. "Pensions and Intergenerational Risk-Sharing When Relative Consumption Matters," Department of Economics University of Siena 541, Department of Economics, University of Siena.
    9. Alghalith, Moawia & Niu, Cuizhen & Wong, Wing-Keung, 2017. "The impacts of joint energy and output prices uncertainties in a mean-variance framework," MPRA Paper 79739, University Library of Munich, Germany.
    10. Wagener, Andreas, 2002. "Prudence and risk vulnerability in two-moment decision models," Economics Letters, Elsevier, vol. 74(2), pages 229-235, January.
    11. Ortega, Eva-María & Escudero, Laureano F., 2010. "On expected utility for financial insurance portfolios with stochastic dependencies," European Journal of Operational Research, Elsevier, vol. 200(1), pages 181-186, January.
    12. Broll, Udo & Eckwert, Bernhard & Eickhoff, Andreas, 2011. "Transparency in the banking sector," Dresden Discussion Paper Series in Economics 05/11, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    13. Guo, Xu & Wagener, Andreas & Wong, Wing-Keung & Zhu, Lixing, 2017. "The Two-Moment Decision Model with Additive Risks," MPRA Paper 77625, University Library of Munich, Germany.
    14. Moawia Alghalith & Xu Guo & Cuizhen Niu & Wing-Keung Wong, 2017. "Input Demand Under Joint Energy and Output Prices Uncertainties," Asia-Pacific Journal of Operational Research (APJOR), World Scientific Publishing Co. Pte. Ltd., vol. 34(04), pages 1-12, August.
    15. repec:eee:ejores:v:264:y:2018:i:2:p:707-716 is not listed on IDEAS

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